There are lots of different types of bobbers. Some do fill with water, while others don't. I've got one of the ones that fills with water, but I've never actually used it.
Your bobber shouldn't fill with water on it's own. If that's the case, you're probably doing something wrong.
If you want, bring the bobbers you're using on Thursday and I'll have a look at them. Maybe I can figure out what the issue is if I see them in person. I'll bring the bobbers I've got so you can see some different types, and try to explain how to use them